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Loss, default and loss given default modeling
Witzany, Jiří - 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...
Persistent link: https://www.econbiz.de/10003823898
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Loss, default and loss given default modeling
Witzany, Jiří - 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...
Persistent link: https://www.econbiz.de/10010322310
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IFRS 9 and its behaviour in the cycle: the evidence on EU countries
Witzany, Jiří; Pastiranová, Oľga - 2021
Persistent link: https://www.econbiz.de/10012546261
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IFRS 9 and its behavior in the cycle : the evidence on EU countries
Pastiranová, Oľga; Witzany, Jiří - In: Journal of international financial management & accounting 33 (2022) 1, pp. 5-17
Persistent link: https://www.econbiz.de/10012816230
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Does IFRS 9 increase volatility of loan loss provisions?
Pastiranová, Oľga; Witzany, Jiří - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 243-249). 2022
Persistent link: https://www.econbiz.de/10013448499
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IFRS 9 - implications on procyclicality
Pastiranová, Oľga; Witzany, Jiří - In: Regulation of Finance and Accounting : 21st and 22nd …, (pp. 251-260). 2022
Persistent link: https://www.econbiz.de/10013448501